问题:

I would like to use a quasi-random sequence, specifically Sobol, within a SciPy based simulation. Any recommendations on existing, efficient packages?

回答1:

Is this project any use? If not, the relevant Wikipedia article mentions C and Fortran routines in NAG and Numerical Recipes, which probably shouldn't be difficult to wrap or reimplement in Python. There are also C routines in GSL.

回答2:

In the context of sensivity analysis SALib library seems interesting It has a Sobol sample generator and uses SciPy. Link here : http://jdherman.github.io/SALib/

回答3:

For Sobol Sequences try sobol_seq.

Generally speaking the best package I've found for dealing with quasirandom sequences is diversipy.

There are also packages that focus on specific implementations, for example sudoku_lhs deals with Latin Hypercubes and the Sudoku-type Constraint variant.

pyDOE implements at least Latin Hypercube (maybe more).

The most interesting package I found is py-design, which creates a wrapper for Fortran 90 codes on 15 or so methods. Unfortunately it does not seem to work (some assets seem to be missing).